Etymotic 6i Isolator Earphones. I know they cost more than the player but I've used them on a number of my players and they work the best.

Costing more then the player is "normal" for headphones
Ety's are great headphones. I suggest you to try out other players to hear the difference I've been talking about.
Noisy background = electrical noises - you can hear them at low volumes and they are very annoying to me
Lack of clarity = Muddy sound - All sansas before the Clip has a notorious reputation of a poor sound quality. When I A-B with another player, the difference is very noticeable.